i have a solid system. i'm looking for help - collaboration to trade it.
- Thread starter rtw
- Start date
So always have as plan A the path trough #1, #2 and #3 all by yourself, on your own money.
Only as plan B and welcomed (but unlikely) nice alternative consider associating with one or a few other traders and do #1, #2 and #3 with shared money. Again, I'm emphasizing, you need to consider costs and quantify everything in money.
Ask yourselves:
1) How much money will you allocate for research?
2) How much money will you allocate for development?
3) How much money will you allocate for trading?
Consider the fact that once you enter an association, you're no longer the sole decider. A strategy which gets to step #3 needs to be vouched by all investors with different risk preferences. For instance some might be OK with the possibility of a 100% drawdown or more, in a single bad streak of luck, I sure as hell wouldn't agree to such a strategy. From my experience with the guys here, most proposed strategies have an Achille's heel and what's more worrying is that these guys know it (even though not always consciously). When someone has a strategy that's proposed for phase #3 (allocation of capital) but they aren't trading their own (or claim they don't have enough), I'll leave it to others to jump on the opportunity.
Valid strategies do exist but they require rigorous research and validation then agreement from all parts involved upon the acceptability of risk / reward ratio before proceeding with allocation of capital.
Only as plan B and welcomed (but unlikely) nice alternative consider associating with one or a few other traders and do #1, #2 and #3 with shared money. Again, I'm emphasizing, you need to consider costs and quantify everything in money.
Ask yourselves:
1) How much money will you allocate for research?
2) How much money will you allocate for development?
3) How much money will you allocate for trading?
Consider the fact that once you enter an association, you're no longer the sole decider. A strategy which gets to step #3 needs to be vouched by all investors with different risk preferences. For instance some might be OK with the possibility of a 100% drawdown or more, in a single bad streak of luck, I sure as hell wouldn't agree to such a strategy. From my experience with the guys here, most proposed strategies have an Achille's heel and what's more worrying is that these guys know it (even though not always consciously). When someone has a strategy that's proposed for phase #3 (allocation of capital) but they aren't trading their own (or claim they don't have enough), I'll leave it to others to jump on the opportunity.
Valid strategies do exist but they require rigorous research and validation then agreement from all parts involved upon the acceptability of risk / reward ratio before proceeding with allocation of capital.
In case you wanna enter an association with me, here are my answers to the list of questions:
1 - 2) How much money will I allocate for research and development?
$1000 / month for a period of up to three years.
3) How much money will I allocate for trading?
$10,000 - $20,000 trough an Interactive Brokers account.
There are also several other factors to consider:
a) What knowledge are you bringing to the table?
I know quantitative finance: Itô's lemma, derivation of the Black-Scholes equation by several arguments, equating volatility to probabilities, knowledge on how and why HFT works with options (useful when / if I'll do market making, useless now at 10 seconds latency connection). Have worked 10 years in finance, 2 of them for an options market making desk, the rest doing price, risk and volatility calculations, handling marketdata, keeping position & PNL (not that easy when one has to do it in realtime for 100k+ positions). But bottom line is I'm not making money by myself yet and anyone claiming that's easy is free to invest their own capital.
b) How do you handle intellectual property?
As a worst case, investing in R&D will still produce potentially valuable intellectual property. Building upon it, with further investment, could recover the costs and make a profit. Problem is who will work on R&D apart from the investors (I'm in favor of hiring someone full time), but what do you do when an investor wants to leave or the employee quits? I don't have much trust in NDAs especially when barely having money for R&D, takes a lot of money to ensure and enforce those NDAs. Then who would you employ? I'd favor someone who would take equity in addition to salary (in order to agree to a lower salary and commit to spending the full three years into the company and make his fortune by himself if he's capable of, with the help of the other guys / investors). But realistically that's like looking for hiring Santa Claus so intellectual property agreements will be a real issue. I don't have a good answer for how to handle them at the moment.
1 - 2) How much money will I allocate for research and development?
$1000 / month for a period of up to three years.
3) How much money will I allocate for trading?
$10,000 - $20,000 trough an Interactive Brokers account.
There are also several other factors to consider:
a) What knowledge are you bringing to the table?
I know quantitative finance: Itô's lemma, derivation of the Black-Scholes equation by several arguments, equating volatility to probabilities, knowledge on how and why HFT works with options (useful when / if I'll do market making, useless now at 10 seconds latency connection). Have worked 10 years in finance, 2 of them for an options market making desk, the rest doing price, risk and volatility calculations, handling marketdata, keeping position & PNL (not that easy when one has to do it in realtime for 100k+ positions). But bottom line is I'm not making money by myself yet and anyone claiming that's easy is free to invest their own capital.
b) How do you handle intellectual property?
As a worst case, investing in R&D will still produce potentially valuable intellectual property. Building upon it, with further investment, could recover the costs and make a profit. Problem is who will work on R&D apart from the investors (I'm in favor of hiring someone full time), but what do you do when an investor wants to leave or the employee quits? I don't have much trust in NDAs especially when barely having money for R&D, takes a lot of money to ensure and enforce those NDAs. Then who would you employ? I'd favor someone who would take equity in addition to salary (in order to agree to a lower salary and commit to spending the full three years into the company and make his fortune by himself if he's capable of, with the help of the other guys / investors). But realistically that's like looking for hiring Santa Claus so intellectual property agreements will be a real issue. I don't have a good answer for how to handle them at the moment.
Congratulations!
After looking over your numbers and made some simple assumptions, I think your system is very good. If you keep at it and the system continues to perform, you don't need OPM to eventually be very well off.
Based on your win/loss % and win/loss ratio, your Kelly are .12 and .22
.
I assumed based on your Std Dev and Average Net Gain, your Sharpe is ~1.5 for the periods from 2005 to 2018.
Good luck and best wishes for the holiday.
After looking over your numbers and made some simple assumptions, I think your system is very good. If you keep at it and the system continues to perform, you don't need OPM to eventually be very well off.
Based on your win/loss % and win/loss ratio, your Kelly are .12 and .22
.I assumed based on your Std Dev and Average Net Gain, your Sharpe is ~1.5 for the periods from 2005 to 2018.
Good luck and best wishes for the holiday.
Why would anyone not want to high win rate?
http://systemtradersuccess.com/important-performance-measure-trading-strategies/
Is is best to have a low rate? Then why argue for a low win rate? Possibly because a trader has never been able to develop a system with a high win rate? Why would anyone in their right mind WANT a low win rate? This said there are some answers to the questions but i will wait to see what others say.
http://systemtradersuccess.com/important-performance-measure-trading-strategies/
Is is best to have a low rate? Then why argue for a low win rate? Possibly because a trader has never been able to develop a system with a high win rate? Why would anyone in their right mind WANT a low win rate? This said there are some answers to the questions but i will wait to see what others say.
Expected return rather than win rate?
i started this thread a number of months ago. i can now read my original post and say that i'm really close to achieving the objectives i have had for a long time.
i have continued to work on this matter with everything i got and have made great progress:
- i have a number of nicely profitable strategies for futures contracts ready to trade fully automated on ninjatrader. i can trade my strategies on m2k and mnq contracts with my own capital and i'm also interested in going into partnerships with individuals or institutions who would provide more substantial capital to trade in exchange for a percentage of the profits. (i will create a thread about my systems once the moderators with et can extend me advice on the particular section i should post to)
- i have been collaborating towards the creation of a system to trade long positions in options automated since may of 2019 and it is now almost ready. it can choose the appropriate contract in an option chain from the value that the user determines as maximum expenditure and uses limit orders inside the bid - ask spread for all entries and exits. i trade following the signals from the strategies i was offering to share with associates when i started this thread.
i should be posting further information soon.
i have continued to work on this matter with everything i got and have made great progress:
- i have a number of nicely profitable strategies for futures contracts ready to trade fully automated on ninjatrader. i can trade my strategies on m2k and mnq contracts with my own capital and i'm also interested in going into partnerships with individuals or institutions who would provide more substantial capital to trade in exchange for a percentage of the profits. (i will create a thread about my systems once the moderators with et can extend me advice on the particular section i should post to)
- i have been collaborating towards the creation of a system to trade long positions in options automated since may of 2019 and it is now almost ready. it can choose the appropriate contract in an option chain from the value that the user determines as maximum expenditure and uses limit orders inside the bid - ask spread for all entries and exits. i trade following the signals from the strategies i was offering to share with associates when i started this thread.
i should be posting further information soon.